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Medium · stochastic_processes · Quant Researcher interview question · hawkes_process, point_process, self_excitation, order_flow, stochastic_processes
A Hawkes process is a self-exciting point process where events increase the probability of future events, capturing the clustering seen in financial market data. The conditional intensity function, λ(t), measures the instantaneous rate of event occurrence at a given time t. Calculating this intensity is fundamental for modeling trade arrivals, optimizing execution, and assessing market microstructure risk. Task Implement the function hawkes_intensity(event_times, t, mu, alpha, beta) to calculat